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Infinite-dimensional VARs and factor models

Chudik, Alexander; Pesaran, M. Hashem - 2009

This paper introduces a novel approach for dealing with the "curse of dimensionality" in the case of large linear dynamic systems. Restrictions on the coefficients of an unrestricted VAR are proposed that are binding only in a limit as the number of endogenous variables tends to infinity. It is...

Persistent link: https://www.econbiz.de/10003831142

Investing in crises

Baron, Matthew; Laeven, Luc; Pénasse, Julien; Usenko, … - 2021

We investigate asset returns around banking crises in 44 advanced and emerging economies from 1960 to 2018. In contrast to the view that buying assets during banking crises is a profitable long-run strategy, we find returns of equity and other asset classes generally underperform after banking...

Persistent link: https://www.econbiz.de/10012518234

Network effects, homogeneous goods and international currency choice : new evidence on oil markets from an older era

Eichengreen, Barry; Chiţu, Livia; Mehl, Arnaud - 2014

Persistent link: https://www.econbiz.de/10010380056

Networks of value added trade

Amador, João; Cabral, Sónia - 2016

Persistent link: https://www.econbiz.de/10011618652

Burn now or never? : climate change exposure and investment of fossil fuel firms

Adolfsen, Jakob Feveile; Heissel, Malte; Manu, Ana-Simona; … - 2024

We investigate the impact of expectations about future climate policy on investment decisions of fossil fuel firms. Our … empirical analysis reveals that firms with greater exposure to climate change significantly increased their investment in … response to the Paris Agreement, in contrast to firms with lower exposure. Importantly, investment was directed towards …

Persistent link: https://www.econbiz.de/10014558848

Global policy at the zero lower bound in a large-scale DSGE model

Gomes, Sandra; Jacquinot, Pascal; Mestre, Ricardo - 2010

The purpose of this paper is to analyse whether fiscal policies can alleviate the effects of the zero lower bound (ZLB) on interest rates and if they should be coordinated internationally. The analysis is carried out using EAGLE, a DSGE model of the global economy. We consider that the fiscal...

Persistent link: https://www.econbiz.de/10008688538

Foreign-currency bonds : currency choice and the role of uncovered and covered interest parity

Habib, Maurizio Michael; Joy, Mark - 2008

Using count-data techniques, this paper studies the determinants of currency choice in the issuance of foreign-currency-denominated bonds. In particular, we investigate whether bond issuers choose their issuance currency in order to exploit the borrowing-cost savings associated with deviations...

Persistent link: https://www.econbiz.de/10003794028

Cross-border lending contagion in multinational banks

Derviz, Alexis (contributor); Podpiera, Jiří (contributor) - 2007

We study both theoretically and empirically the interdependence of lending decisions in different country branches of a multinational bank. First, we model a bank that delegates the management of its foreign unit to a local manager with non-transferable skills. The bank differs from other...

Persistent link: https://www.econbiz.de/10003554320

An international comparison of voting by committees

Jung, Alexander - 2011

This paper provides new empirical evidence on policy-makers' voting patterns on interest rates. Applying (pooled) Taylor-type rules and using real-time information available from published inflation reports and voting records, the paper tests for heterogeneity among committee members in three...

Persistent link: https://www.econbiz.de/10009380404

Financial markets and international risk sharing in emerging market economics

Schmitz, Martin - 2012

Persistent link: https://www.econbiz.de/10009765166

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